This review aims to provide a comprehensive overview of the literature on the use of exercise for migraine treatment with regard to its efficacy, mechanism of action and role in practice. Many randomized studies have reported the efficacy of prophylactic treatment of migrane with medications such as beta blockers or antiepileptic drugs. Studies on alternative approaches, like aerobic exercise and biofeedback, are however limited but also considered to be effective. Scientific databases were searched with keywords "exercise" and "migraine". The resulting publications were gathered, examined and discussed throughly. Past studies had limitations and were few in number, but more recent randomized controlled studies have concretely provided level of evidence about the effectiveness of exercise in prophylactic treatment of migraine. Core properties of exercise like intensity, duration, frequency, type and warming up period are required to be monitored while treating migraine to increase the beneficial effects and, also to prevent injuries and side effects which may include exertional headache. Isometric neck exercise is helpful when the migraine is accompanied by neck pain. Patient population with low beta endorphin level in blood, high physical fitness and high motivation receives significant benefits from the exercise treatment. The action of exercise on migraine is in general related to neurochemical factors, psychological states and increase in cardivascular and cerebrovascular fitness. Considering its effectiveness and minimal side effects, migraine patients should often be encouraged to practice physical exercise with intensity, frequency and duration that should be carefully instituted to achieve the most beneficial outcome while preventing potential injuries and side effects.